Current open questions in complete mixability
From MaRDI portal
Publication:491375
DOI10.1214/14-PS250zbMATH Open1328.60023arXiv1411.6190OpenAlexW2123897370MaRDI QIDQ491375FDOQ491375
Authors: Ruodu Wang 
Publication date: 25 August 2015
Published in: Probability Surveys (Search for Journal in Brave)
Abstract: Complete and joint mixability has raised considerable interest in recent few years, in both the theory of distributions with given margins, and applications in discrete optimization and quantitative risk management. We list various open questions in the theory of complete and joint mixability, which are mathematically concrete, and yet accessible to a broad range of researchers without specific background knowledge. In addition to the discussions on open questions, some results contained in this paper are new.
Full work available at URL: https://arxiv.org/abs/1411.6190
Recommendations
Probability distributions: general theory (60E05) Inequalities; stochastic orderings (60E15) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Combinatorial probability (60C05) Problem books (00A07)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Random variables with maximum sums
- Title not available (Why is that?)
- Computation of sharp bounds on the distribution of a function of dependent risks
- Bounds on total economic capital: the DNB case study
- The complete mixability and convex minimization problems with monotone marginal densities
- Comparison methods for stochastic models and risks
- Stochastic finance. An introduction in discrete time
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- Risk aggregation with dependence uncertainty
- The Existence of Probability Measures with Given Marginals
- Inequalities for distributions with given marginals
- The concept of comonotonicity in actuarial science and finance: theory.
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- General convex order on risk aggregation
- Aggregation-robustness and model uncertainty of regulatory risk measures
- The safest dependence structure among risks.
- General lower bounds on convex functionals of aggregate sums
- Choosing joint distributions so that the variance of the sum is small
- On the multidimensional extension of countermonotonicity and its applications
- Variance minimization and random variables with constant sum
- Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
- Sharp bounds for sums of dependent risks
- Solution of a statistical optimization problem by rearrangement methods
- Bounds for sums of random variables when the marginal distributions and the variance of the sum are given
- Bounds for functions of dependent risks
- On a class of extremal problems in statistics
- Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
- Advances in complete mixability
- Detecting complete and joint mixability
- Bounds for the sum of dependent risks having overlapping marginals
- Bounding stochastic dependence, joint mixability of matrices, and multidimensional bottleneck assignment problems
- A general duality theorem for marginal problems
- Studying mixability with supermodular aggregating functions
- On aggregation sets and lower-convex sets
- Asymptotic bounds for the distribution of the sum of dependent random variables
- Joint Mixability
Cited In (6)
- Bounding stochastic dependence, joint mixability of matrices, and multidimensional bottleneck assignment problems
- Centers of probability measures without the mean
- Studying mixability with supermodular aggregating functions
- The distributions of the mean of random vectors with fixed marginal distribution
- Joint mixability of some integer matrices
- Detecting complete and joint mixability
Uses Software
This page was built for publication: Current open questions in complete mixability
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q491375)
